Stationary Markov chains with linear regressions

Details Stationary Markov chains with linear regressions Stationary Markov chains with linear regressions

2000-07-05

arxiv.org/abs/math/0007026v1

Stoch. Proc. Appl. 93 (2001), pp. 339-348

Mathematics

Probability

Scientific paper

In a previous paper we determined one dimensional distributions of a stationary field with linear regressions and quadratic conditional variances under a linear constraint on the coefficients of the quadratic expression. In this paper we show that for stationary Markov chains with linear regressions and quadratic conditional variances the coefficients of the quadratic expression are indeed tied by a linear constraint which can take only one of the two alternative forms.

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